Sopko said that the Pentagon essentially shut down when pressed about the programme, saying: "One of the most troubling aspects of this project is that the Department of Defence claims that it is unable to provide an explanation for the high cost of the project or to answer any other questions concerning its planning, implementation or outcome."
The department that was in charge of it, the Task Force for Stability and Business Operations, has closed and so the Pentagon said it couldn't comment on its activities, Sopko's letter said.
He wrote that he found it "both shocking and incredible that DOD asserts that it no longer has any knowledge about TFBSO, an US$800 million programme that reported directly to the Office of the Secretary of Defence and only shut down a little over six months ago".
A Pentagon spokesman did not immediately respond to a request for comment.
Sopko said he intended to continue to investigate the programme to see "whether any conduct by TFBSO staff or contractors was criminal in nature".
The gas station was intended to help Afghanistan curb its dependence on foreign petroleum products and take advantage of domestic energy.
But investigators found that Afghanistan does not have the natural gas transmission infrastructure to support a "viable market" for cars that used compressed natural gas.
And the cost of converting gasoline-powered cars to run on natural gas "may be prohibitive for the average Afghan".
The cost to do so is estimated at about US$700 per car, while the average annual income in Afghanistan is US$690.
"In sum, Sopko wrote, "it is not clear why [TFBSO] believed the CNG filling station should be undertaken."